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Results
Results
Monthly Performance Report / June 2020
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MONTHLY RESULTS
GTAA Growth (USD-based accounts)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | -- | -- | -- | -- | -- | -- | -- | 1.3% | 0.9% | 1.1% | 0.5% | 1.4% | 5.4% |
| 2018 | 2% | -3.4% | -0.2% | -0.1% | 0.4% | 0.6% | 1% | 0.7% | -0.4% | -2% | -0.1% | 0.9% | -0.8% |
| 2019 | 1.1% | 0.3% | 1.6% | 1.5% | -2.9% | 1.3% | -0.2% | 2.9% | 0.6% | 1.1% | 0.7% | 2.3% | 10.7% |
| 2020 | -1% | -3.1% | -3.4% | 2.2% | 0.8% | 0.5% | -- | -- | -- | -- | -- | -- | -4.1% |
GTAA Growth (CAD-based accounts)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | -- | -- | -- | -- | -- | -- | -- | 0.1% | 0.5% | 1.6% | 0.5% | 1.3% | 7.7% |
| 2018 | 1.3% | -2.7% | -0.3% | -0.2% | 0.6% | 0.8% | 0.9% | 0.9% | -1.1% | -1.7% | 0.2% | 1.6% | 0.2% |
| 2019 | 0% | 0.7% | 1.4% | 1.5% | -2.9% | 0.7% | -0.2% | 3.7% | 0.4% | 0.6% | 0.7% | 2% | 8.8% |
| 2020 | -0.8% | -2.9% | -2.9% | 1.9% | 0.2% | 0.2% | -- | -- | -- | -- | -- | -- | -4.2% |
PORTFOLIO ALLOCATION
During the month of June, the GTAA strategy moved away from its ultra-defensive posture and had a moderate percentage of the portfolio allocated to risk assets.
Specifically, the strategy had a 10% allocation to U.S. Stocks, a 10% allocation to Japanese stocks, and a 10% allocation to U.S. preferred shares. The remaining 70% of the portfolio was 25% invested in long-term Treasuries and 45% invested in short-term U.S. investment grade corporate bonds.
From a performance attribution perspective, our 10% exposure to U.S. stocks rose 1.8%, our 10% position in Japanese stocks fell 0.1%, and our 10% position in U.S. preferred shares fell 0.9%. In terms of our remaining “safe bucket” positions, our 25% exposure to long-term Treasuries rose 0.3%, and our 45% exposure to short-term U.S. investment grade corporate bonds rose 0.9%%. In addition, the performance of our CAD-based accounts was tempered by a 17.5% long USD vs. CAD exposure, which declined 1.4%.
